Michelle Dockery was in the middle of filming the final season of Downton Abbey in 2015 when the script for TNT's Good Behavior came across her desk. Well-known to many by then as the polished Lady Mary on Downton, Dockery was already seeking her next project -- only she wasn't expecting it to be in such stark contrast to the role she had nestled into for more than five years.

"I was very fortunate when it came along," Dockery, 34, tells ET. "I wasn't consciously looking for something so vastly different."

In Good Behavior, which premieres Tuesday, Dockery inhabits the complicated Letty Dobesh, a recovering drug addict, con artist and mother to a 10-year-old son, who gets entangled with a charming hitman hired to kill a man's wife. On paper, Letty has clear distinctions from Lady Mary, but Dockery saw similarities in both female characters.

"They're not just strong [women], they're many things," she says. "They're complicated, they're smart and they're funny. That's what's so compelling about Letty, that she's many, many things."

It's a point Dockery emphasized about her character -- Letty isn't a bad girl just for the sake of being bad. Much of that comes from the pages of Blake Crouch's Letty Dobesh Chronicles novellas, on which the TNT drama is based, that she used as source material in the early weeks of production.

"People could assume it's a show about addiction but it's more than that," the actress explains. "It's a symptom; it's not the core thing. It's quite a roller coaster as you see the series go on."

It was the opening scene, Dockery recalls, that piqued her interest in the project. In it, Letty is introduced as a waitress at a nondescript diner, but it's only a matter of time before you realize she's far more extraordinary than that, when she expertly steals a wallet from a man who's harassing her in the bathroom.

"Letty by the end was different from maybe what I expected from the start," Dockery notes. "The same with Downton Abbey [and] Mary; her character developed so vastly as the show went on."

One thing that excited Dockery was the opportunity to become a chameleon. Letty becomes more entrenched in the seductive world of crime as the series goes on, forced to take on different personalities to stay afloat.

"It's like playing characters within the character; she's not being different people, it's still her, it's still Letty. That was something we were very conscious of," Dockery says of the many personas Letty inhabits, one of which you can preview in ET's exclusive sneak peek above. "We were very conscious that Letty still shows through."

The wardrobe was just as crucial.

"There is a whole story and a character and an animal behind it," Dockery says of Letty's ever-changing wardrobe, crediting costume designer Alonzo Wilson, who created vivid histories for each look.

To hear Dockery tell it, Good Behavior pays special attention to the gray area between good and evil.

"What makes someone a good person and what makes someone a bad person? You have a hitman and yet he's a gentleman and very likable. Letty is dealing with sh*t in her life and trying to better it, yet you like seeing her mess up," Dockery says with a chuckle. "There are moments where they're ordering takeout food and they're two people doing normal things -- they just happen to be a hitman and a recovering drug addict con artist on parole."

Good Behavior debuts with a two-hour premiere Tuesday at 9 p.m. ET/PT on TNT.